EuDML | Browse

Page 1

Displaying 1 – 5 of 5

Defaultable bonds with an infinite number of Lévy factors

Jacek Jakubowski, Mariusz Niewęgłowski (2010)

Applicationes Mathematicae

A market with defaultable bonds where the bond dynamics is in a Heath-Jarrow-Morton setting and the forward rates are driven by an infinite number of Lévy factors is considered. The setting includes rating migrations driven by a Markov chain. All basic types of recovery are investigated. We formulate necessary and sufficient conditions (generalized HJM conditions) under which the market is arbitrage-free. Connections with consistency conditions are discussed.

Defaultable game options in a hazard process model.

Bielecki, Tomasz R., Crépey, Stéphane, Jeanblanc, Monique, Rutkowski, Marek (2009)

Journal of Applied Mathematics and Stochastic Analysis

DG method for numerical pricing of multi-asset Asian options—the case of options with floating strike

Jiří Hozman, Tomáš Tichý (2017)

Applications of Mathematics

Option pricing models are an important part of financial markets worldwide. The PDE formulation of these models leads to analytical solutions only under very strong simplifications. For more general models the option price needs to be evaluated by numerical techniques. First, based on an ideal pure diffusion process for two risky asset prices with an additional path-dependent variable for continuous arithmetic average, we present a general form of PDE for pricing of Asian option contracts on two...

Diffusion approximations of the geometric Markov renewal processes and option price formulas.

Swishchuk, Anatoliy, Islam, M.Shafiqul (2010)

International Journal of Stochastic Analysis

Dynamic portfolio optimization with risk management and strategy constraints

Csilla Krommerová, Igor Melicherčík (2014)

Kybernetika

We investigate the problem of power utility maximization considering risk management and strategy constraints. The aim of this paper is to obtain admissible dynamic portfolio strategies. In case the floor is guaranteed with probability one, we provide two admissible solutions, the option based portfolio insurance in the constrained model, and the alternative method and show that none of the solutions dominate the other. In case the floor is guaranteed partially, we provide one admissible solution,...